Jointly Modeling Autoregressive Conditional Mean and Variance of Non-Negative Valued Time Series

Hiroyuki Kawakatsu
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Hiroyuki Kawakatsu: Business School, Dublin City University, 9 Dublin, Ireland

Econometrics, 2019, vol. 7, issue 4, 1-19

Abstract: This paper considers observation driven models with conditional mean and variance dynamics for non-negative valued time series. The motivation is to relax the restriction imposed on the higher order moment dynamics in standard multiplicative error models driven only by the conditional mean dynamics. The empirical fit of a zero inflated mixture distribution is assessed with trade duration data with a large fraction of zero observations. All authors have read and agreed to the published version of the manuscript.

Keywords: multiplicative error model; non-negative valued time series; conditional variance dynamics; zero-inflated mixture distribution (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2019
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